Related papers: Probabilistic Forecast Reconciliation with Kullbac…
Estimating Kullback Leibler (KL) divergence from samples of two distributions is essential in many machine learning problems. Variational methods using neural network discriminator have been proposed to achieve this task in a scalable…
A standard assumption in multistage stochastic programming is that decisions are made after observing the uncertainty from the prior stage. The resulting solutions can be difficult to implement in practice, as they leave practitioners…
MAP inference for general energy functions remains a challenging problem. While most efforts are channeled towards improving the linear programming (LP) based relaxation, this work is motivated by the quadratic programming (QP) relaxation.…
We consider the problem of model multiplicity in downstream decision-making, a setting where two predictive models of equivalent accuracy cannot agree on the best-response action for a downstream loss function. We show that even when the…
We present a probabilistic viewpoint to multiple kernel learning unifying well-known regularised risk approaches and recent advances in approximate Bayesian inference relaxations. The framework proposes a general objective function suitable…
In many areas of decision-making, forecasting is an essential pillar. Consequently, many different forecasting methods have been proposed. From our experience, recently presented forecasting methods are computationally intensive, poorly…
The deepening penetration of renewable resources into power systems entails great difficulties that have not been surmounted satisfactorily. An issue that merits special attention is the short-term planning of power systems under net load…
Probabilistic time series forecasting has played critical role in decision-making processes due to its capability to quantify uncertainties. Deep forecasting models, however, could be prone to input perturbations, and the notion of such…
Discovery of an accurate causal Bayesian network structure from observational data can be useful in many areas of science. Often the discoveries are made under uncertainty, which can be expressed as probabilities. To guide the use of such…
In the November 2016 U.S. presidential election, many state level public opinion polls, particularly in the Upper Midwest, incorrectly predicted the winning candidate. One leading explanation for this polling miss is that the precipitous…
In Simulation-based Inference, the goal is to solve the inverse problem when the likelihood is only known implicitly. Neural Posterior Estimation commonly fits a normalized density estimator as a surrogate model for the posterior. This…
We study the fundamental and timely problem of learning long sequences in autoregressive modeling and next-token prediction under model misspecification, measured by the joint Kullback--Leibler (KL) divergence. Our goal is to characterize…
We propose a shrinkage procedure for simultaneous variable selection and estimation in generalized linear models (GLMs) with an explicit predictive motivation. The procedure estimates the coefficients by minimizing the Kullback-Leibler…
In many classification problems it is desirable to output well-calibrated probabilities on the different classes. We propose a robust, non-parametric method of calibrating probabilities called SplineCalib that utilizes smoothing splines to…
Accurate and reliable probability predictions are essential for multi-class supervised learning tasks, where well-calibrated models enable rational decision-making. While isotonic regression has proven effective for binary calibration, its…
Calibration has emerged as a foundational goal in ``trustworthy machine learning'', in part because of its strong decision theoretic semantics. Independent of the underlying distribution, and independent of the decision maker's utility…
Deep Learning predictions with measurable confidence are increasingly desirable for real-world problems, especially in high-risk settings. The Conformal Prediction (CP) framework is a versatile solution that guarantees a maximum error rate…
Many classification applications require accurate probability estimates in addition to good class separation but often classifiers are designed focusing only on the latter. Calibration is the process of improving probability estimates by…
We investigate the modeling and the numerical solution of machine learning problems with prediction functions which are linear combinations of elements of a possibly infinite-dimensional dictionary. We propose a novel flexible composite…
Machine learning applications often require calibrated predictions, e.g. a 90\% credible interval should contain the true outcome 90\% of the times. However, typical definitions of calibration only require this to hold on average, and offer…